I have not tried it, but from searching the internet I think you need to add some other oils to the Coconut Oil. (They add one or more of the following: Neem, Citronella, Cedarwood, Peppermint, Lemongrass, Soybean and some others)

They appear to be using the coconut oil as the lotion/carrier ingredient and the other oils as the repellent ingredients.

Any product with Deet will work. There is a less common remedy called Zanzarin, a plant-based product that you apply on your skin. I doubt coconut oil will repel sand fleas, but you will sure smell good.....